BIROn - Birkbeck Institutional Research Online

    Do fiscal imbalances deteriorate sovereign debt ratings ?

    Afonso, A. and Gomes, Pedro (2011) Do fiscal imbalances deteriorate sovereign debt ratings ? Revue économique 62 (6), pp. 1123-1134. ISSN 0035-2764.

    Revue.pdf - Author's Accepted Manuscript

    Download (519kB) | Preview


    We use sovereign debt rating estimations from Afonso, Gomes and Rother (2009, 2011) for Fitch, Moody’s, and Standard & Poor’s, to assess to what extent the recent fiscal imbalances are being reflected on the sovereign debt notations. With macro and fiscal data up to 2010, and macro and fiscal projections, we obtain the expected rating for several OECD countries. The answer to the title question is yes, but in a diverse way for each country. Our average model predictions point to a heterogeneous behaviour of rating agencies across countries.


    Item Type: Article
    Keyword(s) / Subject(s): credit ratings; sovereign debt; rating agencies.
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Research Centres and Institutes: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Pedro Gomes
    Date Deposited: 12 Oct 2017 09:06
    Last Modified: 02 Aug 2023 17:36


    Activity Overview
    6 month trend
    6 month trend

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item